Bugs item #1538952, was opened at 2006-08-11 14:02
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: CRR Binomial Negative Probability Error
Initial Comment:
When calculating impliedVolatility for an american
call using the Cox-Ross-Rubinstein Binomial vanilla
engine, I receive the following error:
"negative probability"
(this also occurs for the "tian" binomial model)
See attached source code, contains parameters and the
code I'm using (C# via SWIG)
However, when I change to other Binomial models
(eg: "jr" or "eqp" instead of "crr") this error does
not occur, and the implied vol is calculated at
approximately 37.47%
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